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Time-Varying Parameter Vector Autoregressions: Specification, Estimation, and an Application

Citations

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Cited by:

  1. Jonathan Lecznar & Thomas A. Lubik, 2017. "Real Rates and Consumption Smoothing in a Low Interest Rate Environment: The Case of Japan," Working Paper 17-8, Federal Reserve Bank of Richmond.
  2. Thomas A. Lubik & Christian Matthes & Andrew Owens, 2016. "Beveridge Curve Shifts and Time-Varying Parameter VARs," Economic Quarterly, Federal Reserve Bank of Richmond, issue 3Q, pages 197-226.
  3. Zhang, Yuanyuan & Chan, Stephen & Lord, Nicholas & Chu, Jeffrey & Yang, Hanfang & Chandrashekhar, Durga & Liao, Xin & Li, Qin, 2025. "Network transitions in the cryptocurrency market: The impact of regional conflicts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 680(C).
  4. Hess T. Chung & Etienne Gagnon & Taisuke Nakata & Matthias Paustian & Bernd Schlusche & James Trevino & Diego Vilán & Wei Zheng, 2019. "Monetary Policy Options at the Effective Lower Bound : Assessing the Federal Reserve's Current Policy Toolkit," Finance and Economics Discussion Series 2019-003, Board of Governors of the Federal Reserve System (U.S.).
  5. Marcin Pietrzak, 2023. "What can monetary policy tell us about Bitcoin?," Annals of Finance, Springer, vol. 19(4), pages 545-559, December.
  6. Alex, Dony, 2025. "Inflation targeting and the changing transmission mechanism of monetary policy in India," Economic Modelling, Elsevier, vol. 151(C).
  7. Beirne, John & Renzhi, Nuobu, 2026. "Oil price pass-through to inflation in emerging Asia," Journal of Asian Economics, Elsevier, vol. 103(C).
  8. Auray, Stéphane & Eyquem, Aurélien, 2019. "Episodes of war and peace in an estimated open economy model," Journal of Economic Dynamics and Control, Elsevier, vol. 105(C), pages 203-249.
  9. Nourhaine Nefzi & Abir Melki & Sahar Loukil & Ahmed Jeribi, 2026. "How do cryptocurrencies connect? Insights from conventional cryptocurrencies, DeFi, NFTs, and gold-backed cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 12(1), pages 1-23, December.
  10. Hasui, Kohei & Sugo, Tomohiro & Teranishi, Yuki, 2026. "Liquidity trap and optimal monetary policy: Evaluations for U.S. monetary policy from 2020 to 2023," Journal of Economic Dynamics and Control, Elsevier, vol. 184(C).
  11. Papież, Monika & Rubaszek, Michał & Szafranek, Karol & Śmiech, Sławomir, 2022. "Are European natural gas markets connected? A time-varying spillovers analysis," Resources Policy, Elsevier, vol. 79(C).
  12. Hafsa Hina, 2024. "Unveiling the Neo-Fisher Effect: Evidence from Pakistan," Journal of South Asian Development, , vol. 19(3), pages 387-407, December.
  13. Anouar Chaouch & Salim Ben Sassi, 2025. "Interconnectedness of Stock Indices in African Economies Under Financial, Health, and Political Crises," JRFM, MDPI, vol. 18(5), pages 1-33, April.
  14. Casalis, André & Krustev, Georgi, 2022. "Cyclical drivers of euro area consumption: What can we learn from durable goods?," Journal of International Money and Finance, Elsevier, vol. 120(C).
  15. Davis, Josh & Fuenzalida, Cristian & Taylor, Alan M., 2019. "The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r," CEPR Discussion Papers 14201, Centre for Economic Policy Research.
  16. Paul Ho, 2023. "Forecasting in the absence of precedent," Journal of Economic Surveys, Wiley Blackwell, vol. 37(3), pages 1033-1058, July.
  17. Tina Rakic & Lyudmila Gadasina, 2026. "Shocks propagation mechanism analysis on Russian commodity exchanges: The example of The Moscow Exchange," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), vol. 81, pages 46-67.
  18. Li, Hong & Shi, Yanlin, 2021. "A new unique information share measure with applications on cross-listed Chinese banks," Journal of Banking & Finance, Elsevier, vol. 128(C).
  19. Evgenidis, Anastasios & Malliaris, Anastasios, 2023. "House Bubbles, global imbalances and monetary policy in the US," Journal of International Money and Finance, Elsevier, vol. 138(C).
  20. Esmaeili, Parisa & Rafei, Meysam, 2021. "Dynamics analysis of factors affecting electricity consumption fluctuations based on economic conditions: Application of SVAR and TVP-VAR models," Energy, Elsevier, vol. 226(C).
  21. Szafranek, Karol & Papież, Monika & Rubaszek, Michał & Śmiech, Sławomir, 2023. "How immune is the connectedness of European natural gas markets to exceptional shocks?," Resources Policy, Elsevier, vol. 85(PA).
  22. Adam Altăr & Matei Nicolae Kubinschi & Alina Zaharia, 2021. "Uncovering the Dynamic Relationship between Credit and Sustainable Economic Growth in Selected CEE Countries," Sustainability, MDPI, vol. 13(11), pages 1-19, June.
  23. Legrand, Romain, 2018. "Time-Varying Vector Autoregressions: Efficient Estimation, Random Inertia and Random Mean," MPRA Paper 88925, University Library of Munich, Germany.
  24. Luigi Infante & Francesca Lilla & Francesco Vercelli, 2023. "The effects of the pandemic on households' financial savings: a Bayesian structural VAR analysis," Temi di discussione (Economic working papers) 1421, Bank of Italy, Economic Research and International Relations Area.
  25. Ilya Zverev & Nadezhda Kislyak, 2025. "Estimating the Output Gap of the Russian Economy: A Multivariate Approach Based on BVAR and the Beveridge-Nelson Filter," Russian Journal of Money and Finance, Bank of Russia, vol. 84(4), pages 22-46, December.
  26. Joshua C.C. Chan & Rodney W. Strachan, 2023. "Bayesian State Space Models In Macroeconometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
  27. Davis, Josh & Fuenzalida, Cristian & Huetsch, Leon & Mills, Benjamin & Taylor, Alan M., 2024. "Global natural rates in the long run: Postwar macro trends and the market-implied r∗ in 10 advanced economies," Journal of International Economics, Elsevier, vol. 149(C).
  28. Lombardi, Domenico & Siklos, Pierre L. & Xie, Xiangyou, 2018. "Monetary policy transmission in systemically important economies and China’s impact," Journal of Asian Economics, Elsevier, vol. 59(C), pages 61-79.
  29. Szafranek Karol & Rubaszek Michał, 2024. "Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(3), pages 507-530.
  30. Matos, Paulo & Soares, Aline, 2025. "On the time-varying behavior of household credit in Brazil," Emerging Markets Review, Elsevier, vol. 69(C).
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